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dc.contributor.authorBerument, M. H.en_US
dc.contributor.authorYalcin, Y.en_US
dc.contributor.authorYildirim, J. O.en_US
dc.date.accessioned2015-07-28T12:00:49Z
dc.date.available2015-07-28T12:00:49Z
dc.date.issued2011en_US
dc.identifier.issn0377-7332 (print)en_US
dc.identifier.issn1435-8921 (online)en_US
dc.identifier.urihttp://hdl.handle.net/11693/12260
dc.description.abstractThis article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984-2009. The bulk of previous studies investigating the link between inflation and inflation uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consider inflation uncertainty as a predetermined function of innovations to inflation specification. The stochastic volatility in mean (SVM) models that we use allow for gathering innovations to inflation uncertainty and assess the effect of inflation volatility shocks on inflation over time. When we assess the interaction between inflation and its volatility, the empirical findings indicate that response of inflation to inflation volatility is positive and statistically significant. However, the response of inflation volatility to inflation is negative but not statistically significant.en_US
dc.language.isoEnglishen_US
dc.source.titleEmpirical Economicsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1007/s00181-010-0377-4en_US
dc.rightsCopyright © Springer-Verlag 2010en_US
dc.subjectInflationen_US
dc.subjectInflation uncertaintyen_US
dc.subjectStochastic volatility modelsen_US
dc.subjectVARen_US
dc.subjectImpulse responseen_US
dc.titleThe inflation and inflation uncertainty relationship for Turkey : a dynamic frameworken_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage293en_US
dc.citation.epage309en_US
dc.citation.volumeNumber41en_US
dc.citation.issueNumber2en_US
dc.identifier.doi10.1007/s00181-010-0377-4en_US
dc.publisherSpringeren_US


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